CAN BRICS’S CURRENCY BE A HEDGE OR A SAFE HAVEN FOR ENERGY PORTFOLIO? AN EVIDENCE FROM VINE COPULA APPROACH

Yijin He (), Tadahiro Nakajima and Shigeyuki Hamori
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Yijin He: Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan

The Singapore Economic Review (SER), 2020, vol. 65, issue 04, 805-836

Abstract: In this paper, we examine the role of Brazil, Russia, India, China and South Africa’s (BRICS) currency in energy market by using vine copula method. The value-at-risk (VaR) and expected shortfall of two portfolios are calculated. One is a benchmark portfolio which is consisted of only energy prices, the other is a portfolio which adding the BRICS’s exchange rate into the benchmark portfolio. The data period is from 24 August 2010 to 29 November 2019. Our results show the BRICS’s currency can reduce the risk in energy investment.

Keywords: BRICS; crude oil; natural gas; dependence structure; risk (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S0217590820500174

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